Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866916993602420736 |
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| author | Ahmadi, Ayub Tahmasebi, Mahdieh |
| author_facet | Ahmadi, Ayub Tahmasebi, Mahdieh |
| contents | In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to determine the delta of European and Asian options, where the underlying asset evolves according to a Hawkes jump-diffusion process. A central feature is that the Hawkes jump intensity is stochastic, which substantially affects the delta representation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_05689 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus Ahmadi, Ayub Tahmasebi, Mahdieh Probability 60H07, 91G20, 65c30 In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to determine the delta of European and Asian options, where the underlying asset evolves according to a Hawkes jump-diffusion process. A central feature is that the Hawkes jump intensity is stochastic, which substantially affects the delta representation. |
| title | Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus |
| topic | Probability 60H07, 91G20, 65c30 |
| url | https://arxiv.org/abs/2510.05689 |